Comparative Analysis of the Social Resposibility Indices Respect, Ceerius and Vőnix

Abstract

The objective of this paper is to compare the indices for socially responsible companies in Central and Eastern Europe in the RESPECT, CEERIUS and VONIX indices in terms of their effectiveness - RESPECT from the Warsaw Stock Exchange; CEERIUS and VONIX from the Vienna Stock Exchange. In the research the following question was posed, "Is the profitability and efficiency of the companies as reflected in the indices higher/lower than the main market indices?" In order to answer the question the Sharpe ratio was calculated from daily and weekly returns in the period from January 2009 when the indices were created. The benchmark applied was WIG20TR, which is an index of twenty major companies in terms of capitalization and cash flow, ATX and others. Logarithmic rates of return were applied. WIBOR ON and WIBOR SW, EONIA (Euro Overnight Index Average) and EURIBOR SW were treated as risk-free interest rates. The effectiveness of the RESPECT index was higher than the WIG20 index; but that of the CEERIUS and VONIX indices was lower than the benchmarks applied. The period of analysis was relatively short for drawing general conclusions. The general conclusion is that a modification of the methodology for selecting companies in the RESPECT index could have a big impact on its effectiveness.